Behaviour of the standard and symmetric Dickey–Fuller‐type tests when there is a break under the null hypothesis

By S. Leybourne, P. Newbold. 2000

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f1dbbba85bb026ccc3367867b40634b5d0fe37b2

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Citations in the corpus

Spurious rejections by cointegration tests induced by structural breaks (2003, result): “The apparently much ‘smaller’ break size in the trend case is in line with Leybourne and Newbold (2000), who show that limiting null distributions for Dickey-Fuller tests statistics arise for breaks in level proportional to T1=2 and breaks in slope proportional to T 1=2. and then declining rapidly,…”
GLS-based unit root tests with multiple structural breaks both under the null and the alternative hypotheses (2007, unknown): “Of interest also is the fact that Leybourne, Mills and Newbold (1998) and Leybourne and Newbold (2000) analyzed the effect of a break on a standard DF test under the unit root null hypothesis and showed that size distortions can occur, especially when the break is early in the sample 1.”
A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure (2016, unknown): “’s (2013) CADF Statistic under Fourier Form Breaks Leybourne, Mills and Newbold (1998) and Leybourne and Newbold (2000) show that the standard Dickey–Fuller tests lead to a spurious rejection of the unit root hypothesis if a single instantaneous break occurs in the beginning of the sample. It is, th”
Innovational Outlier Unit Root Tests with an Endogenously Determined Break in Level (2001, methodology): “However, as argued by Leybourne and Newbold (2000) in the context of Dickey-Fuller-type tests and Kim et al. (2000) in the context of Perron tests, an asymptotic analysis in which break magnitude is proportional to the square root of sample size can often generate more reliable predictions of what…”
GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES (2009, background): “Of interest also is the fact that Leybourne, Mills, and Newbold (1998) and Leybourne and Newbold (2000) analyzed the effect of a break on a standard DF test under the unit root null hypothesis and showed that size distortions can occur, especially when the break is early in the sample.”